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Spectral Properties of Non-Stationary Systems of Linear Stochastic Difference Equations
- Source :
- Journal of the American Statistical Association. 64:581-590
- Publication Year :
- 1969
- Publisher :
- Informa UK Limited, 1969.
-
Abstract
- A method is proposed to eliminate trends from a sample from a non-stationary system of linear stochastic difference equations. The auto-covariance matrix and the spectral density matrix of the detrended component of the sample are derived. The latter matrix turns out to have the same form as the spectral density matrix for a stationary system when expressed in terms of the roots of the system. Since the parameters of the system are assumed known throughout the paper, the problem of statistical inference does not arise.
- Subjects :
- Statistics and Probability
Matrix difference equation
State-transition matrix
Mathematical optimization
Estimation of covariance matrices
Matrix (mathematics)
Matrix splitting
Convergent matrix
Applied mathematics
Maximum entropy spectral estimation
Statistics, Probability and Uncertainty
Coefficient matrix
Mathematics
Subjects
Details
- ISSN :
- 1537274X and 01621459
- Volume :
- 64
- Database :
- OpenAIRE
- Journal :
- Journal of the American Statistical Association
- Accession number :
- edsair.doi...........f04c8b5208ba264ad50dce7544e661fc